The COVID-19 Pandemic, Government Response, and Serbian Stock Market: Evidence from ARDL Cointegration Model

The existence of a real possibility that the current health crisis could lead to an economic crisis has prompted governments worldwide to make great efforts to sustain their markets. This paper explores the im­pact of COVID-19 and Serbian government anti-Covid activities on the do­mestic stock market using the Autoregressive Distributed Lag (ARDL) Coin­tegration model. In its research, the paper considers the impact of the num­ber of newly infected and the number of deaths from coronavirus daily, as well as measures taken by governments to combat viruses on the represent­ative Belgrade stock exchange index BELEX15. The results showed a signifi­cant long-term negative impact on the number of deaths per day and inter­national travel control on the BELEX15 index. In terms of reducing the neg­ative consequences of the crisis caused by the global pandemic, these re­sults could be a good guideline for effective management of government measures.